Some people these days--not necessarily you, justininsf--sniff at "physical media" as though it were hopelessly antiquated. But, I still do nearly all my serious listening on CDs.
For portable listening, I rip to Ogg Vorbis format, which is compressed but IMHO far superior to MP3. I can't distinguish a 192K .ogg file from the original, but I certainly can with a 256K MP3. I will not download MP3s unless it is a desperate emergency. Some sites, especially in Europe, offer FLAC, which is lossless (and DRM free). That is how I have so far acquired Stenz M5, M6 and M7. I burn it to CD anyway so I can play it on the best equipment at my disposal.
I think the FLAC spec supports up to eight channels, thus surround-sound downloads are a possibility, eventually.
For listening at work, I use a Sandisk ClipZip player (which supports a variety of formats, including FLAC and .ogg). With good headphones, the sound is excellent. But note that the player has apparently been discontinued and the replacement (Clip Sport) adds a gap of silence between tracks, a big problem in classical music. I have ways to combine tracks, but it's tedious and should not be necessary.
Barry, I'm amused by your comments about vinyl, and I mostly agree. Everything else aside, vinyl is a bad choice for the composer to whom this forum is devoted, because you can't squeeze enough information into a groove and play it back without distortion and rapid wear. However, quieter stuff, including acoustic strings, can sound really nice on vinyl.
It's kind of a strange journey the world has been on: 1) ditch CDs for bad-sounding downloads, 2) notice that music sounds better than that on a cheap plastic turntable, 3) rip your vinyl to a compressed format and lose most of the quality, and 4) play it back on cheesy earbuds. Me, I'm glad I listen on CD and will continue to do so for a long time.